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Explicit Representations for Utility Indifference Prices - MaRDI portal

Explicit Representations for Utility Indifference Prices (Q5165000)

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scientific article; zbMATH DE number 7426562
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English
Explicit Representations for Utility Indifference Prices
scientific article; zbMATH DE number 7426562

    Statements

    title
    Explicit Representations for Utility Indifference Prices (English)
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    publication date
    15 November 2021
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    zbMATH Keywords
    utility indifference price
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    contingent claim
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    wealth process
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    risk aversion
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    information premium
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    stochastic control problem
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    stochastic maximum principle
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    enlarged filtration
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B16
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    93E20
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    zbMATH DE Number
    7426562
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    OpenAlex ID
    W3165559138
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